Via Nazionale 91
00184 Roma
Italy
http://www.bancaditalia.it
Bank of Italy
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Contagion, financial crisis, correlation analysis
bond market, stock market, macroeconomic shocks, money illusion
risk aversion, asset pricing, financial crisis
CAPM, risk aversion
Contagion; Financial crisis; Factor model; Correlation analysis
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Contagion, financial crisis, factor model, correlation analysis
exchange rate, term structure, UIP
bond risk premium, exchamge rate, affine model
contagion. EMU debt crisis, panel cointegration
real and nominal term structure, inflation risk premium, affine term structure, Kalman filter
monetary policy surprises, unconventional monetary policy
inflation density, inflation risk premium, objective probability
term structure models, yield curve, risk premium
default probability, term structure, credit risk premium, ESG scores
sovereign bond spread, macroeconomic fundamentals, risk aversion
zero lower bound, shadow rate term structure model
index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline
surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy
sovereign spreads, liquidity premia, convenience yields
sovereign bond spread, contagion, non-stationary panels
inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises
yield curve, shadow rate, deep learning, artificial intelligence
